2007•Zhongguo guanli kexueRequires access
Model of Portfolio Selection with Transaction Costs in Varying Capital Structure
Hongjie Li
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Abstract
In this paper,the impact of friction factors and transaction costs on portfolio optimization are studied.The author establishes an optimization model of portfolio investment with transaction costs and friction factors,as the risk security and non-risk security are considered,and gives the portfolio and the efficient frontier of that model,and discusses the influence of transaction costs and friction factors on the efficient frontier.